Volatility has risen in the dollar-yen options market, while yen call buying has strengthened as the dollar-yen exchange rate broke out of its range. The yen call spread in risk reversals has also widened, indicating expectations of further yen appreciation.
Volatility has risen in the dollar-yen options market, and option buying has strengthened following the dollar-yen exchange rate's range breakout. Specifically, rates have risen across maturities, with levels from the short term through the long term approaching those seen in 2008.
The yen call spread in risk reversals widened, with notable support for yen call buying. Across maturities from 1 month to 1 year, there was a trend toward longer-dated yen calls.
The rates shown changed from 6.95% to 7.23% for 1 month and from 7.71% to 7.80% for 3 months. The 6-month rate also changed from 8.07% to 8.14%, while the 1-year rate changed from 8.39% to 8.43%.